Agenda Topics:

• Introducing MSCI's Global Multi-Asset Class Model:

The purpose of the models is to allow an organisation to understand their factor risk in a consistent framework using different levels of granularity. In this presentation, we will highlight the latest developments in MSCI’s Multi-Asset Class factor models.

• Rethinking Asset Allocation

Historically, most investors composed portfolios from broad asset class buckets: equity, fixed income, real estate, private equity etc. More recently, many institutional investors have questioned these asset class buckets as the right dimensions to manage. Factor-based asset allocation moves the strategic allocation decisions away from asset class buckets to factors that cut across and split apart traditional asset classes. In this new paradigm, asset classes are investment vehicles, while factors drive performance. Reference portfolios provide a “third way”, aiming to address three objectives: provide an anchor for portfolio risk, measure the value added at each step of the institutional portfolio process and implement an asset allocation framework that is aware of common risks across asset classes, without the full complexity of factor-based asset allocation. We will discuss the practical benefits and drawbacks of these three approaches.

• Establishing Standards in Factor Investing

While sectors/industries and countries have historically been the building blocks of equity allocations, today institutional investors increasingly allocate across factors. Standards already exist for industry and country allocations, but no standard has yet existed for style factors. Given the growing presence and utilization of factors in the active investment process and the growth of factor based products, a standard approach is needed to defining factors and evaluating the factor characteristics of portfolios.

We will discuss how managers, investors and consultants can benefit from MSCI FaCS - a factor classification standard to analyse and report factor characteristics, while investors and consultants can use the data to compare funds and monitor exposures through time.

• The Effect of Environmental and Social Governance on Risk and Return

Many researchers have studied the relationship between companies with strong ESG characteristics and corporate financial performance. However, positive correlation does not imply causation. We will discuss the major transmission channels that promote understanding of how ESG characteristics can lead to financially significant effects.